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Course highlights

Experts explain how to model and validate market risk Basel III from above: presentation on the expectation
metrics under Basel 2.5 for risk governance and culture
Stressed VaR, Incremental Risk Charge and Learn how capital requirements and leverage ratio
Comprehensive Risk Measure all covered under Basel III will effect risk and funding
Discussion around updated capital requirements for Demonstration on how to calculate capital for wrong-
exposures to securitisation way risk and how to calculate CVA VaR
Expert analysis of proposals in recent Fundamental Discuss enhanced requirements for institutional and
Review of the Trading Book risk specific stress tests under Basel III

incisive-training.com/xxxxx

Basel 2.5 to Basel III:


Validation,
Implementation
and Objectives
London 27 & 28 March 2013
New York 27 & 28 March 2013
Basel 2.5 to Basel III: Validation, London 27 & 28 March 2013
Implementation and Objectives New York 27 & 28 March 2013

About the course Learning outcomes


With the deadline for the implementation of Basel At the conclusion of this course, attendees and
2.5 now a year past, financial institutions are not only intended to have gained or increased knowledge
realising the impact of this set of directives but are about:

Risk Management
looking towards the much larger subsequent set 
How to model and validate SVaR, IRC and
of regulatory adjustments proposed by the Basel CRM within a bank
Committee Basel III, now officially in its first stage of

Calculating capital required for securitisation
formal implementation. Now is the time for financial
and the effect this has had on the business
institutions to act to ensure new and repositioned
staff are up to the minute on the latest developments 
The intentions and proposals discussed by
during this crucial period of change. This two day the Basel Committees Fundamental Review
training course offers a complete overview of 
Why there is pressure on banking institutions
the significant and challenging alterations to risk to alter their risk culture and governance
management in the trading book. The programme

The way in which Basel III aims to enforce this
course offers an opportunity to openly discuss
upon the banking community
with industry specialists and expert speakers the
challenges encountered in implementing regulatory 
The qualitative approaches to calculating
requirements such as stressed VaR (value at risk), CRM capital requirements and the new leverage
(comprehensive risk measure) and IRC (incremental ratio
risk charge). In addition alterations to capital for 
The effect of the wider Basel III accord on risk,
securitisation exposures and the recent Fundamental funding and banking business models
Review of the Trading Book will be presented 
Calculate wrong way risk and CVA VaR to
clearly. Participants will also consider key issues and more effectively manage counterparty risk
objectives of the risk coverage outlined in the Basel

The emergence of CCPs as risk-free
III package of measures, covering topics such as risk
counterparties and how they are treated in
culture, governance, capital and leverage ratios,
Basel III
wrong way risk, CCP capital charges, stress testing
and CVA VaR (credit value adjustment). 
How Basel III promotes stress testing for closely
monitoring risk and institutional stability

Who should attend?


This training course is intended to provide training to professionals in financial institutions, as well as
regulatory bodies and advisory firms. However, Risk welcomes any individual with an interest in the course
material. Specific titles and functions would include:
Market Risk Management and Model Validation Quantitative Analysis
Analytics Regulatory and Economic Finance and Treasury
Traded Market Risk Capital Regulation & Compliance
Correlation Trading Basel III Financial Institutions Advisory
Market Risk Modelling Counterparty Risk and CVA Bank Supervision
Credit Risk Modelling Risk
Bank Regulation
Risk Methodology Stress Testing
Financial Stability and
Risk Analysis Risk Internal Audit Economic Analysis

Book now
call + 44 (0) 207 968 4530 / +1 (646) 736 1852
email training.delegates@incisivemedia.com
web incisive-training.com/xxxxxx
Basel 2.5 to Basel III: Validation, London 27 & 28 March 2013
Implementation and Objectives New York 27 & 28 March 2013

Course Tutors:

Risk Management
London New York
Ian Fernandes Ariel Blumencwejg
Director, RiskContainer, CVA Risk Specialist,
Calimere Point Federal Reserve Bank of New York
Adolfo Montoro James Diguglielmo
Head of Market Risk Economic Capital Quantitative Analyst,
Methodology, Morgan Stanley
Deutsche Bank
Gordon Liu
Diana Ouamar Head of Traded Market Risk Americas,
Co-Founder and Director, HSBC
Rima Consulting
Akhtarur Siddique
Ignacio Ruiz Risk Analysis Division,
Founder, Office of the Comptroller of the Currency
iRuiz Consulting
Mark Staley
Sunil Verma Vice President,
Director, TD Bank Group
UBS Investment Bank
Arun Venkatarangan
Quantitative Analyst,
Morgan Stanley
Sebastian Zugman
Head of Traded Credit and Market Risk,
Americas,
HSBC

Venues
London New York
The Kingsley Thistle Downtown Conference Center
Bloomsbury Way 157 William Street
London New York
WC1A 2SD NY 10038

Book now
call + 44 (0) 207 968 4530 / +1 (646) 736 1852
email training.delegates@incisivemedia.com
web incisive-training.com/xxxxxxx
Basel 2.5 to Basel III: Validation, London 27 & 28 March 2013
Implementation and Objectives New York 27 & 28 March 2013

Coming up in 2013

Risk Management
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as a training course. If you would like to London 13 & 14 February 2013
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training events please contact
The Fundamentals of Operational Risk
Adriana Lobo via
London 20 & 21 February 2013
adriana.lobo@incisivemedia.com New York 20 & 21 February 2013
incisive-training.com/operationalrisk
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Modelling, Managing and Hedging
London 20 & 21 February 2013
New York 27 & 28 February 2013
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London 13 & 14 March 2013
New York 20 & 21 March 2013
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Operations and Audit
London 18 & 19 March 2013
New York 27 & 28 March 2013
incisive-training.com/ird

Book now
call + 44 (0) 207 968 4530 / +1 (646) 736 1852
email training.delegates@incisivemedia.com
web incisive-training.com/xxxxxx
Basel 2.5 to Basel III: Validation, London 27 & 28 March 2013
Implementation and Objectives New York 27 & 28 March 2013

London Wednesday 27 March 2013 London Thursday 28 March 2013


Day Day

1 2
0830 Coffee and registration 0830 Coffee and registration
0900 Basel 2.5 Implementation: Stressed VaR and Incremental Risk Charge 0900 Capital Requirements and Leverage Ratio
 VaR and SVaR: reviewing the conditions and objectives  Minimum Capital: Increases in tier 1 capital 2013-2016
 Regulatory methodology: confidence levels, time scales of measures  Tighter definition of tier 1 capital
 Stressed VaR and 12 month stress period  Tier 3 and hybrid capital instruments phased out
 Standardised and Advanced approaches  Regulatory capital adjustments
 Identification and discussion of challenges encountered  Capital buffers
 Identifying historical stress periods Conservation buffer
 Computational data issues Country specific countercyclical capital and its implementation
 Modelling and implementation  Capital related to market risk
 Analysis of inflation / deflation (yield curve and prices risks)  Leverage ratio
 Capital charge for SVaR: complexities and challenges Minimum percentage of tier 1 capital
 Incremental Risk Charge: managing default risk and migration risk 3% for the observation period
 Objectives of IRC Tutor to be confirmed
 Conditions: confidence level, time horizons, products applicable
 Standardised and Advanced approaches 1030 Morning break
 IRC Liquidity horizon
 Modelling and pricing migration derivatives 1100 CVA VaR and CCP Exposures
 Explaining migration losses  Higher quantitative and qualitative requirements for collateralized derivatives
 Stress tests, sensitivity and scenario analyses transactions
 Developing relevant internal benchmarks  What is CVA and CVA VaR?
 Reviewing the implementation of IRC and first year of practice  Standardised approach to CVA VaR: challenges with data
Tutor Ian Fernandes, Director, RiskContainer, Calimere Point  Modelling challenges of the advanced approach
 CVA risk capital charge: general and specific credit spread risks, including Stressed
1030 Morning break VaR but excluding IRC
 Compatibility with other risk metrics and possible double counting
1100 Basel 2.5 Implementation 2: Modelling Capital for Securitisation and Comprehensive  Key challenges and limitations
Risk Measure  Enhanced role of independent review
 Securitisation: excluded from the IRC  Basel III and broad OTC derivative reform
 Background on securitisation and the crisis  New standards for the capitalization of exposures to central counterparties (CCPs)
 Objectives of Basel 2.5 approach to securitisation risk management Tutor Ian Fernandes, Director, RiskContainer, Calimere Point
 Banking book capital charges for tranches
 Higher risk weights for resecuritisation 1230 Lunch
 Restrictions on credit ratings
Risk and oversight: stress testing, liquidity and capital planning 1330 Counterparty Risk Capital: Wrong Way Risk
 Effective on banking business models  Higher asset value correlation multiplier for large financial institutions
 Exclusion of correlation trading portfolios: CRM  Higher operational requirements for counterparty risk
 Comprehensive Risk Measure: capturing price risk  Backtesting
 CRM target: default and migration risk of tranches and their hedges  stress testing
 Conditions: confidence level, time horizons, products applicable  model validation
 CRM Liquidity horizon  Explicit pillar I capital charge for wrong-way risk
Coverage of basis risk  How is wrong way risk addressing issues arising from the debt crisis
Standardised approach  Introducing Stressed EEPE to account for general wrong way risk
CRM Floor  Challenges of calibrating wrong way risk
CDO, CDS, and Bonds  Qualitative and quantitative challenges of treating specific wrong way risk
 Reviewing the implementation of IRC and first year of practice  Definition of legal connection and the adjustment of netting rules
Tutor Ian Fernandes, Director, RiskContainer, Calimere Point  Wrong way risk and systemic risk
 The role of wrong way risk in liquidity risk
1230 Lunch Tutor Ignacio Ruiz, Founder, iRuiz Consulting

1330 Basel 2.5+: The Fundamental Review of Trading Book 1500 Break
 Regulatory arbitrage: re-drawing trading book/banking book boundary
 New approaches: Trading Evidence-based boundary, Valuation-based boundary 1530 Stress Testing and Risk Appetite under Basel III
 Treatment of hedging and diversification  Basel III: enhanced stress testing requirements across risks
 Improved granularity of models  Pillar I and Pillar II aspects: ERM approach
 Treatment of credit risk in trading book  Applying the concept of drawdown in stress tests
 From VaR to Expected Shortfall (ES): weakness of VaR  The role of liquidity and liquidity stress scenarios
 Capturing Tail Risk with ES: theory  Reverse stress tests
 ES for the standardised approach  The limits of stress testing and importance of qualitative risk management
 ES for the model-based approach Tutor Sunil Verma, Director, UBS Investment Bankg
 Re-calibrated standardised approach and models-based approach
 Closer link between two approaches
 standardised approach as a mandatory surcharge to the models-based approach
1700 End of course
Standardised: partial risk factor approach; fuller risk factor approach
 Models-based approach: major changes
 Incorporating market illiquidity into models: IRC and CRM
 Incorporating varying liquidity horizons into regulatory capital
 Capital add-ons for changes in liquidity premia
 Endogenous liquidity
 Extending liquidity horizons
 Valuation adjustments?
Tutor Ian Fernandes, Director, RiskContainer, Calimere Point

1500 Break
1530 Basel 3: Risk Governance and Operational Challenges
 Regulatory focus on governance
 Basel III focus on governance
 Improving Corporate Risk Governance
 Risk appetite and senior management awareness
 Transparency and controls
 Risk and reputational hazards
 SIFIs: higher capital, bail-in and CoCos, Living Wills
 Enhancement of Pillar II: peer reviews
 Liquidity reporting
 General cost of changing risk infrastructure
Tutor Diana Ouamar, Co-Founder and Director, Rima Consulting

1700 End of day one


Basel 2.5 to Basel III: Validation, London 27 & 28 March 2013
Implementation and Objectives New York 27 & 28 March 2013

New York Wednesday 27 March 2013 New York Thursday 28 March 2013
Day Day

1 2
0830 Coffee and registration 0830 Coffee and registration
0900 Overview of Risk Based Capital Guidelines: Market Risk and Comparisons with 0900 Basel 2.5+: Fundamental Review of the Trading Book
2011 NPRs  Regulatory arbitrage: re-drawing trading book/banking book boundary
 Agencies involved in Rule: OCC, FRB, FDIC  New approaches: Trading Evidence-based boundary, Valuation-based boundary
 Who qualifies compared to Basel II?  Treatment of hedging and diversification
 Consistency with Volcker Rule  Improved granularity of models
 Working alongside Dodd-Frank: ratings agency workaround  Treatment of credit risk in trading book
 Timeline and supervision framework for implementation  From VaR to Expected Shortfall (ES): weakness of VaR
 Modifications from 2011 NPRs on market risk  Capturing Tail Risk with ES: theory
 CRM surcharge modification  ES for the standardised approach
 Standardised specific risk charges: corporate debt positions  ES for the model-based approach
 Modification of securitisation positions  Re-calibrated standardised approach and models-based approach
 Sovereign exposure  Closer link between two approaches
 Exclusion of prudential valuation standards  standardised approach as a mandatory surcharge to the models-based approach
 Adjusted and advanced risk weighted assets  Standardised: partial risk factor approach; fuller risk factor approach
Tutor to be confirmed  Models-based approach: major changes
 Incorporating market illiquidity into models: IRC and CRM
1100 Updating Value-at-Risk: Implementing Stressed VaR  Incorporating varying liquidity horizons into regulatory capital
 Regulatory VaR backtesting modification  Capital add-ons for changes in liquidity premia
 Regulatory methodology: confidence levels, time scales of measures  Endogenous liquidity and extending liquidity horizons
 Stressed VaR and 12 month stress period Tutor Mark Staley, Vice President, TD Bank
 Standardised and Advanced approaches
 Identifying historical stress periods 1030 Morning break
 Computational data issues
 Capital charge for SVaR: complexities and challenges 1100 Basel 3: Risk Governance and Operational Challenges
Tutor James Diguglielmo & Arun Venkatarangan, Quantitative Analysts, Risk Model  Regulatory focus on governance
Validation, Morgan Stanley  Basel III focus on governance
 Improving Corporate Risk Governance
1230 Lunch  Risk appetite and senior management awareness
 Transparency and controls
1330 Managing Default Risk, Migration Risk and Price Risk: IRC and CRM  Risk and reputational hazards
 Objectives of IRC  SIFIs: higher capital, bail-in and CoCos, Living Wills
 Conditions: confidence level, time horizons, products applicable  Enhancement of Pillar II: peer reviews
 Standardised and Advanced approaches  Liquidity reporting
 IRC Liquidity horizon  General cost of changing risk infrastructure
 Modelling and pricing migration derivatives  Interaction and collision with Dodd-Frank
 Explaining migration losses Tutor Akhtarur Siddique, Risk Analysis Division, Office of the Comptroller of the
 Stress tests, sensitivity and scenario analyses Currency
 Developing relevant internal benchmarks
 Operational and data challenges for implementation of IRC in first year of practice 1230 Lunch
 CRM target: default and migration risk of tranches and their hedges
 Conditions: confidence level, time horizons, products applicable 1330 Capital Requirements and Leverage Ratio
 CRM Liquidity horizon  Minimum Capital: Increases in tier 1 capital 2013-2016
 Coverage of basis risk  Tighter definition of tier 1 capital
 Standardised approach  Tier 3 and hybrid capital instruments phased out
 Modelling challenges of the advanced approach  Regulatory capital adjustments
 CRM Floor  Capital buffers
 CDO, CDS, and Bonds  Conservation buffer
Tutor James Diguglielmo & Arun Venkatarangan, Quantitative Analysts, Risk Model  Country specific countercyclical capital and its implementation
Validation, Morgan Stanley  Capital related to market risk
 Leverage ratio
1500 Break  Minimum percentage of tier 1 capital
 3% for the observation period
1530 Implementing Securitisation Capital Rules Under Basel 2.5 Tutor to be confirmed
 Securitisation: excluded from the IRC
 Background on securitisation and the crisis 1500 Break
 Objectives of Basel 2.5 approach to securitisation risk management
 Banking book capital charges for tranches 1530 Counterparty Risk: Wrong Way Risk & CVA VaR
 Higher risk weights for resecuritisation  Higher asset value correlation multiplier for large financial institutions
 Restrictions on credit ratings  Higher operational requirements for counterparty risk
 Risk and oversight: stress testing, liquidity and capital planning  Backtesting
 Effective on banking business models  stress testing
 Exclusion of correlation trading portfolios: CRM  model validation
Tutor Gordon Liu, Head of Traded Market Risk & Sebastian Zugman, Head of Market  Explicit pillar I capital charge for wrong-way risk
and Credit Risk Americas, HSBC USA  How is wrong way risk addressing issues arising from the debt crisis
 Introducing Stressed EEPE to account for general wrong way risk
1700 End of day one  Challenges of calibrating wrong way risk
 Qualitative and quantitative challenges of treating specific wrong way risk
 Definition of legal connection and the adjustment of netting rules
 Wrong way risk and systemic risk
 The role of wrong way risk in liquidity risk
 Higher quantitative and qualitative requirements for collateralized derivatives
transactions
 What is CVA and CVA VaR?
 Standardised approach to CVA VaR: challenges with data
 Modelling challenges of the advanced approach
 CVA risk capital charge: general and specific credit spread risks, including Stressed
VaR but excluding IRC
 Compatibility with other risk metrics and possible double counting
 Key challenges and limitations
 Enhanced role of independent review
Tutor Ariel Blumencwejg, CVA Risk Specialist, Federal Reserve Bank of New York

1700 End of course


Basel 2.5 to Basel III: Validation,
Implementation and
Objectives
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Basel 2.5 to Basel III: Validation,
Implementation and
Objectives

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